An Extension of the Bierman-Hausman Model for Credit Granting

This paper extends the Bierman-Hausman credit-granting model by proving that although the distribution on the probability of collection in the case of failure is no longer a conjugate Beta, it remains tractable; the model therefore need no longer be terminated in the case of failure. Further theorems on the structure of optimal policies, which result in a considerable reduction of the dynamic programming state space, are then presented, and the paper concludes with a discussion of extensions and applications.

• 저널Management Science · 22(11) · 1229–1237
• 토픽Banking stability, regulation, efficiency · Finance
• DOI10.1287/mnsc.22.11.1229
• 저자Yvo M. I. Dirickx, Lee Macdonald Wakeman